Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0271 |
| Annualized Std Dev | 0.1799 |
| Annualized Sharpe (Rf=0%) | -0.1508 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4420.0000 |
| NAs | 1.0000 |
| Minimum | -0.1464 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0043 |
| Maximum | 0.1785 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0113 |
| Skewness | -0.5217 |
| Kurtosis | 36.7252 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.6013 |
| Historical VaR (95%) | -0.0145 |
| Historical ES (95%) | -0.0275 |
| Modified VaR (95%) | -0.0119 |
| Modified ES (95%) | -0.0119 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-02-20 | 2020-03-18 | NA | -0.6013 | 2036 | 1782 | NA |
| 2003-09-05 | 2008-11-21 | 2013-01-24 | -0.5847 | 2363 | 1315 | 1048 |
| 2013-02-08 | 2013-02-13 | 2013-02-19 | -0.0188 | 7 | 4 | 3 |
| 2013-01-28 | 2013-01-29 | 2013-02-01 | -0.0033 | 5 | 2 | 3 |
| 2003-09-03 | 2003-09-03 | 2003-09-04 | -0.0020 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | -0.1 | 0 | 0.8 | -1.7 | 0.6 | -0.4 |
| 2004 | 0 | 0.5 | -0.3 | 0.7 | -1.5 | -0.5 | 0.4 | 0.1 | -0.2 | 1.2 | 0.8 | 0 | 1.4 |
| 2005 | -1.2 | 1 | 0.7 | 0.2 | 0.1 | 0.7 | -0.3 | -0.2 | 0.2 | -0.6 | -1 | 0.7 | 0.4 |
| 2006 | 0.2 | 0.7 | -1 | 0.4 | 0.3 | -0.3 | 0.6 | 0.6 | -0.5 | 0.3 | 0.4 | 1.2 | 3.1 |
| 2007 | 0.7 | 1 | -0.6 | -0.3 | -0.5 | -0.9 | -2.4 | 1.7 | 1.4 | -0.1 | 1.8 | 1 | 2.5 |
| 2008 | -0.6 | -2.9 | 2.7 | -0.3 | 0.8 | 0.2 | 1 | 0 | 6.5 | 1.3 | 2.4 | 1.8 | 13.4 |
| 2009 | 0 | -5.1 | 0.3 | 2.5 | 0.1 | 0.1 | 0.5 | 0.7 | -1.2 | -3.2 | 0.6 | 0 | -4.7 |
| 2010 | 0.1 | 1 | -0.5 | -0.1 | -0.5 | -0.1 | 0.6 | -0.5 | 0.4 | 0.1 | 0.4 | -0.1 | 1 |
| 2011 | 0.2 | -0.2 | 1.1 | -0.2 | -0.8 | 0.4 | 0.3 | 2.9 | -0.1 | -0.5 | -1.1 | 0.8 | 3 |
| 2012 | 0.1 | -0.1 | 0.9 | -1.1 | -1.4 | -1.9 | -0.2 | 0.5 | 0.7 | 0 | -1.2 | 0 | -3.6 |
| 2013 | 0.5 | 0.7 | 0 | -0.6 | -2.5 | -0.1 | -2 | 0.2 | 0.4 | -0.5 | 0.1 | -0.2 | -4.2 |
| 2014 | -0.1 | 0.4 | 0 | -0.2 | -0.4 | -0.2 | -0.3 | 0.2 | 0.1 | 0.5 | -0.3 | 1.8 | 1.5 |
| 2015 | -0.3 | -0.5 | 0.7 | 0 | -0.3 | 1.1 | 0.6 | 0.3 | -0.6 | 0.3 | 0.3 | -0.3 | 1.2 |
| 2016 | -0.5 | 0.9 | -0.4 | 0.3 | 0.6 | -0.3 | -0.3 | -0.2 | 0.1 | -1.1 | 0 | 0.2 | -0.8 |
| 2017 | -0.2 | 0.3 | 0.3 | 0.2 | 0.9 | -0.2 | 0.5 | 0.2 | 0.1 | 0.2 | 0.3 | 0.4 | 3 |
| 2018 | -0.1 | -0.4 | 0.4 | -0.1 | -0.8 | -0.4 | 0.4 | 0 | 0.6 | 1.3 | 0.2 | -0.8 | 0.3 |
| 2019 | 0.7 | 0.1 | 0.2 | 0.4 | -0.6 | -0.3 | -0.4 | 0.1 | 0.2 | -0.6 | 0 | -0.2 | -0.4 |
| 2020 | -0.5 | -3.2 | -5.9 | -0.5 | 0.6 | 0.7 | -0.1 | 2.4 | 0.8 | -1 | 0.6 | 0.7 | -5.3 |
| 2021 | -0.1 | 1 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
